ENGLISH

Copula Methods in Finance

By Umberto Cherubini , Elisa Luciano , Walter Vecchiato

Book information

Publisher
Wiley
Year
2004
ISBN
0470863447, 9780470863459, 9780470863442
Open Library ID
OL24281148M
Language
english
Format
PDF
Filesize
5 MB (4832521 bytes)
Series
The Wiley Finance Series
Edition
1
Pages
310\308
Topic
Business Management
Time added
2011-04-11 19:55:47
Менеджмент;Риск-менеджмент

Description

Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications.  It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis.  Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues.  Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

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